High-frequency order imbalance volatility data
We compute share imbalance as a proportion of shares outstanding over every five-minute interval of the trading day using the Lee and Ready (1991) algorithm. High-frequency order imbalance volatility (HFOIV ) is the standard deviation of the five-minute imbalance, computed over the trading day.
Current data (2002-2017):
- Stock-day HFOIV for NYSE, Amex, and NASDAQ common stocks
- Link: High-frequency order imbalance volatility data
- Bogousslavsky V., and P. Collin-Dufresne. “Liquidity, Volume, and Order Imbalance Volatility.” Journal of Finance, 2023, 78(4): 2189-2232.
Auction volume and price deviation data
The sample covers common stocks listed on the NYSE and Nasdaq with a price greater than USD 5 and a market capitalization greater than USD 100 million at the beginning of a month.
Current data (2010-2018):
- Variables: share volume between 3:55pm and 4:00pm, share volume executed in the auction, auction price deviation
- Link: Auction data
- Bogousslavsky V., and D. Muravyev. “Who Trades at the Close? Implications for Price Discovery and Liquidity.” Journal of Financial Markets, forthcoming.